國立臺灣大學
國際企業學系暨研究所
International Business , National Taiwan University
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Personal Information
Jr-Yan Wang
Ph.D. Ph.D. 2002, National Taiwan University, International Business
Master M.S. 1997, National Taiwan University, Computer Science and Information Engineering
Bachelor B.A. 1996, National Taiwan University, Computer Science and Information Engineering
Office : Building II, College of Management 712
Tel : 3366-4987
Fax : 3365-2245
E-mail : jryanwang@ntu.edu.tw
Office Hour :
Home Page : http://homepage.ntu.edu.tw/~jryanwang/
Related Link :
Research Field
• Asset Pricing
• Financial Engineering
• Behavioral Finance
• Interest Rate Models
• Credit Models
Research Field Summary
Education
• Ph.D. 2002, National Taiwan University, International Business
• M.S. 1997, National Taiwan University, Computer Science and Information Engineering
• B.A. 1996, National Taiwan University, Computer Science and Information Engineering
Courses
• Financial Computation (graduate level)
• Investments (undergraduate level)
• Mathematics for Management (undergraduate level)
• Options and Futures (graduate level)
Honors
No Data Available
Experience
2010/08 - 2017/07 Associate Professor, National Taiwan University
2008/08 - 2010/07 Assistant Professor, National Taiwan University
2006/02 - 2008/07 Assistant Professor of Graduate Institute of Finance, National Taiwan University of Science and Technology
2003/02 - 2006/01 Assistant Professor of Department of Finance, National Chung Hsing University
2004/02 - 2008/07 Adjunct Assistant Professor of Department of International Business, National Taiwan University
2006/02 - 2012/01 Adjunct Assistant Professor of Department of Finance, National Chung Hsing University
Conference Paper
  1. Rachel J. Huang*, Larry Y. Tzeng, Jr-Yan Wang, and Lin Zhao, 2017, Asymptotic Stochastic Dominance, 2017 ARIA Annual Meeting, (Toronto, Canada).
  2. Mao-Wei Hung, Yi-Chen Ko, and Jr-Yan Wang*, 2017, Price Behavior of EU Emission Allowances, 2017 SIBR Osaka Conference on Interdisciplinary Business & Economics Research, (Osaka, Japan).
  3. Mao-Wei Hung, Yi-Chen Ko*, and Jr-Yan Wang, 2016, Price Dynamics of CO2 Emission Allowance and Theory of Storage, 2016 FMA Annual Meeting, (Las Vegas, U.S.).
  4. Chuan-Ju Wang, Tian-Shyr Dai*, and Jr-Yan Wang, 2016, Pricing Convertible Bonds under the First-Passage Credit Risk Model, 2016 FMA Annual Meeting, (Las Vegas, U.S.).
  5. Mao-Wei Hung, Yi-Chen Ko, and Jr-Yan Wang, 2016, Price Dynamics of CO2 Emission Allowance and Theory of Storage, 2016 FMA European Conference, (Helsinki, Finland).
  6. San-Lin Chung and Jr-Yan Wang, 2015, A Simple Iteration Algorithm to Price Perpetual Bermudan Options, 2015 FMA European Conference, (Venice, Italy).
  7. Hsiao-Chuan Wang and Jr-Yan Wang, July 2014, Rainbow Trend Options: Valuation and Applications, 21st Annual Conference of the Multinational Finance Society, (Prague).
  8. Tian-Shyr Dai, Jr-Yan Wang, and Chuan-Ju Wang, September 2014, Pricing Convertible Bonds under the First-Passage Credit Risk Model, Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management,, (Nagoya).
  9. Tian-Shyr Dai and Jr-Yan Wa, October 2013, A Revised Reduced-Form Model: Application for Pricing Convertible Bonds, 2013 FMA Annual Meetin, (Chicago).
  10. Tian-Shyr Dai, Jr-Yan, June 2013, A Revised Reduced-Form Model: Application for Pricing Convertible Bonds, 2013 FMA European Conference, (Luxembourg City).
  11. Hsiao-Chuan Wang and Jr-Yan Wang, June 2013, Rainbow Trend Options: Valuation and Applications, 2014 FMA European Conference, (Maastricht).
  12. Bing-Huei Lin, Dean Paxson, Jr-Yan Wang, Mei-Mei Kuo, April 2013, Deriving Implied Betas and Firm-Specific Risks from Option Prices, 2013 FMA Asian Conference, (Shanghai).
  13. Bing-Huei Lin, Dean Paxson, Jr-Yan Wang, Mei-Mei Kuo, June 2012, Deriving Implied Betas from Option Prices, 2012 FMA European Conference, (Istanbul).
  14. Bing-Huei Lin, Dean Paxson, Jr-Yan Wang, Mei-Mei Kuo, June 2011, Measuring Systematic Risk Using Implied Beta in Option Prices, 2011 European FMA Conference, (Braga).
  15. Chun-Ying Chen, Jr-Yan Wang, June 2011, The Valuation of Forward-Start Rainbow Options, 2011 FMA European Conference, (Porto).
  16. Tzu-Chun Chen, Tian-Shyr Dai, Jr-Yan Wang, July 2010, Linear-Time Combinatorial Option Pricing Algorithms on the Trinomial Lattice Model, The 2010 International Conference on Scientific Computing, (Las Vegas).
  17. Chun-Ying Chen, Jr-Yan Wang, June 2009, The Valuation of Forward-Start Rainbow Options, 2009 FMA European Conference, (Turin).
  18. Chun-Ying Chen, Jr-Yan Wang, October 2009, The Valuation of Forward-Start Rainbow Options, The Third Workshop on Derivatives Innovation and Risk Management, (Taipei).
  19. Bing-Huei Lin, Jr-Yan Wang, Shih-Wen Tai, June 2008, Simulation Approaches for Pricing Option under GARCH-Jump Process, The First Asia Conference on Financial Engineering and Markets (ACFE), (Kowloon).
  20. Bing-Huei Lin, Mao-Wei Hung, Jr-Yan Wang, Tsung-Hsing Wu, April 2007, Option Pricing with Discontinuous Jumps and GARCH Effect, The First International Financial Planning Conference and CEO forum, (Taipei).
  21. Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei, June 2007, An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options, The Third International Conference on Algorithmic Aspects in Information and Management, (Portland).
  22. Jr-Yan Wang, November 2005, Variance Reduction for Multivariate Monte Carlo Simulation, New Paradigms of Management, the 4th Annual Academic Conference, (Taipei).
  23. Mao-Wei Hung, Jr-Yan Wang, May 2004, Behavioral Finance Utility Functions and the Optimal Hedge ratio of the Futures, Academic Conference of Finance, Taiwan Finance Association, (Taichung).
  24. Mao-Wei Hung, Jr-Yan Wang, November 2003, Asset Prices under Prospect Theory and Habit Formation, The 11th Annual Conference on Pacific Basin Finance, Economics and Accounting (PBFEA 2003), (Taipei).
  25. Mao-Wei Hung, Jr-Yan Wang, March 2003, Asset Prices under Prospect Theory and Habit Formation, Academic Conference of Finance, Taiwan Finance Association, (Taichung).
  26. M. W. Hung, J. Y. Wang, 2002, Pricing Convertible Bonds Subject to Default Risk, Academic Conference of Finance, Taiwan Finance Association, (Taichung).
Journal Paper
  1. Jr-Yan Wang and Tian-Shyr Dai, June 2017, A Modified Reduced-Form Model with Time-Varying Default and Recovery Rates and its Applications in Pricing Convertible Bonds, Journal of Derivatives, 24(4), 52-79, (SSCI).
  2. Jr-Yan Wang*, Hsiao-Chuan Wang, Yi-Chen Ko, and Mao-Wei Hung, July 2017, Rainbow Trend Options: Valuation and Applications, Review of Derivatives Research, 20(2), 91-133, (SSCI).
  3. Daniel Wei-Chung Miao*, Yung-Hsin Lee, and Jr-Yan Wang, 2017, Using Forward Monte-Carlo Simulation for the Valuation of American Barrier Options, Annals of Operations Research, (SCI).
  4. Chun-Ying Chen, Hsiao-Chuan Wang, Jr-Yan Wang, November 2015, The Valuation of Forward-Start Rainbow Options, Review of Derivatives Research, 145 - 189.
  5. Bing-Huei Lin, Mao-Wei Hung, Jr-Yan Wang, Ping-Da Wu, September 2013, A Lattice Model for Option Pricing Under GARCH-Jump Processes, Review of Derivatives Research, 295 - 329.
  6. Mao-Wei Hung, Jr-Yan Wang, November 2011, Loss Aversion and the Term Structure of Interest Rates, Applied Economics, 4623 - 4640.
  7. Bing-Huei Lin, Jr-Yan Wang, Shih-Wen Tai, August 2011, Structure of Spot Rates and Duration Hedging, Asia-Pacific Journal of Financial Studies, 550 - 576.
  8. San-Lin Chung, Mao-Wei Hung, Jr-Yan Wang, October 2010, Tight Bounds on American Option Prices, Journal of Banking and Finance, 77 - 89.
  9. Jr-Yan Wang, September 2008, Variance Reduction for Multivariate Monte Carlo Simulation, Journal of Derivatives, 7 - 28.
  10. Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei, March 2008, Adaptive Placement Method on Pricing Arithmetic Average Options, Review of Derivatives Research, 83 - 118.
  11. Tian-Shyr Dai, Jr-Yan Wang, Hui-Shan Wei, July 2007, An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options, Lecture Notes in Computer Science, 262 - 272, [SCI-Expanded].
  12. Mao-Wei Hung, Jr-Yan Wang, May 2005, Asset Price under Prospect Theory and Habit Formation, Review of Pacific Basin Financial Markets and Policies, 1 - 29, [EconLit, FLI].
  13. Mao-Wei Hung, Jr-Yan Wang, August 2002, Pricing Convertible Bonds Subject to Default Risk, Journal of Derivatives, 75 - 87.
Book
No Data Available
Book Paper
  1. Jr-Yan Wang, July 2002, Prospect Theory and Asset Pricing, (Ph.D. Dissertation).
Technical Report
No Data Available
Other
No Data Available

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